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A multiname credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio. The value of a multiname derivative depends on the distribution of portfolio loss at multiple horizons. Intensity-based models of the loss point process that are specified without(More)
The authors gauged the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, and unlevered and levered risk parity. They report three main findings: (1) Even over periods lasting decades, the start and end dates of a backtest can have a material effect on results; (2) transaction costs can reverse ranking, especially if(More)
Previous research suggests that morphology and arborization of dendritic spines change as a result of fear conditioning in cortical and subcortical brain regions. This study uniquely aims to delineate these structural changes in the basolateral amygdala (BLA) after both fear conditioning and fear extinction. C57BL/6 mice acquired robust conditioned fear(More)
The cumulative return to a levered strategy is determined by five elements that fit together in a simple, useful formula. A previously undocumented element is the covariance between leverage and excess return to the fully invested source portfolio underlying the strategy. In an empirical study of volatility-targeting strategies over the 84-year period(More)
Risk-only investment strategies have been growing in popularity as traditional investment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations and empirical studies show that apparently distinct risk-based investment strategies are manifestations(More)
Some market participants think of risk parity strategies as an antidote to an imbalance in traditional asset allocation, where weights are based on capital allocation. An example of the latter is a fixed mix strategy that targets a capital allocation of 50 percent bonds and 50 percent equity. Because stocks are much more volatile than bonds, the equity(More)
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures of risk. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show that CED(More)